Applications of Hilbert-Huang transform to non-stationary financial time series analysis

Applied Stochastic Models in Business and Industry

Volumn 19, Issue 3, 2003, Pages 245-268

  Huang, Norden E ^a   Wu, Man Li ^a   Qu, Wendong ^b   Long, Steven R ^c   Shen, Samuel S P ^d  

^a NASA GODDARD SPACE FLIGHT CENTER   (United States)

^b CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^c NASA HEADQUARTERS   (United States)

^d UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Data analysis; Empirical mode decomposition (EMD); Financial time series; Hilbert spectral analysis; Hilbert Huang transform (HHT); Non linear; Non stationary; Stock price analysis; Volatility

Indexed keywords

FINANCIAL DATA PROCESSING; FUNCTIONS; NONLINEAR SYSTEMS; SPECTRUM ANALYSIS; TIME SERIES ANALYSIS;

EMPIRICAL MODE DECOMPOSITION (EMD);

WAVELET TRANSFORMS;

EID: 0142227017     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.501     Document Type: Article

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